Bivariate integer-autoregressive process with an application to mutual fund flows

Serge Darolles, Gaelle Le Fol, Yang Lu and Ran Sun
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Serge Darolles: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Yang Lu: CEPN - Centre d'Economie de l'Université Paris Nord - CNRS - Centre National de la Recherche Scientifique - Université Sorbonne Paris Nord
Ran Sun: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Date: 2018-12
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Published in Financial Time Series Workshop, CREST-ENSAE, Dec 2018, Palaiseau, France

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Related works:
Working Paper: Bivariate integer-autoregressive process with an application to mutual fund flows (2019)
Working Paper: Bivariate integer-autoregressive process with an application to mutual fund flows (2019)
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